“求人”还是“靠己”全国社保基金股市投资效率研究

发布时间：2019-03-08 20:58

【摘要】：我国养老金缺口已超过万亿元,社保基金的投资效率引起了学术界的广泛关注。本文选取2004~2012年全国社保基金持股数据,研究社保基金直接运作投资和委托投资的效率差异。研究结果发现,社保基金组合整体投资效率较低,其中,直接运作投资不能获得超额收益,委托投资每年的超额收益为4.32%。委托投资资产配置的私有信息显著高于直接运作投资,这是造成直接运作投资收益低下的重要原因。本文进一步的研究发现,社保基金具有显著的市场稳定机制,且2008年之前的政策性功能更加明显。本文的研究对于社保基金的投资效率、我国机构投资者的发展具有重要的理论和现实意义。
[Abstract]:The pension gap of our country has already exceeded trillion yuan, the investment efficiency of social security fund has aroused the extensive concern of the academic circles. This paper selects the stock holding data of the National Social Security Fund from 2004 to 2012 to study the difference of the efficiency between the direct operation investment and the entrusted investment of the Social Security Fund. The results show that the overall investment efficiency of the social security fund portfolio is low, in which the direct operation investment can not obtain excess returns, and the annual excess return of the entrusted investment is 4.32%. The private information of the entrusted investment asset allocation is significantly higher than that of the direct operation investment, which is an important reason for the low return on the direct operation investment. Further research in this paper finds that the social security fund has a significant market stability mechanism, and the policy function before 2008 is more obvious. The research in this paper is of great theoretical and practical significance to the investment efficiency of social security funds and the development of institutional investors in China.
【作者单位】：复旦大学经济学院;复旦大学金融研究中心;
【基金】：国家自然科学基金(71303054) 教育部人文社科基金(12YJC790219) 博士后基金(2013M531090)资助
【分类号】：F842;F832.51;F832.48;F224

【参考文献】